You can say both: "examen" or "hojas del examen". Both will be understood as refering to the actual paper sheets in your hand, although only the first can be used in other phrases. "Examen" is more generic, "hojas del examen" is a lot more specific. You can say "es temporada de examen", but it would sound weird if you said "es temporada de hojas de examen".

Imagine a teacher standing in front of a student's desk, extending his arm and hand open. The student will perfectly understand either of these: